Harel Insurance Jensen Alpha vs. Maximum Drawdown

HARL Stock  ILS 3,585  84.00  2.40%   
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Harel Insurance Investments has current Jensen Alpha of 0.2782. Jensen alpha is a measure of the returns that are attributable to the managers' ability to select security and time the market. In other words, it is the returns remaining after deducting what would have been attributable to beta returns (which do not require skill) and the risk-freerate.

Jensen Alpha

 = 

ER[a] - RFR * (1-BETA)

-

BETA * ER[b])

 = 
0.2782
ER[a] = Expected return on investing in Harel Insurance
ER[b] = Expected return on market index or selected benchmark
BETA = Beta coefficient between Harel Insurance and the market
RFR = Risk Free Rate of return. Typically T-Bill Rate

Harel Insurance Jensen Alpha Peers Comparison

Harel Jensen Alpha Relative To Other Indicators

Harel Insurance Investments is one of the top stocks in jensen alpha category among related companies. It is currently under evaluation in maximum drawdown category among related companies reporting about  44.40  of Maximum Drawdown per Jensen Alpha. The ratio of Maximum Drawdown to Jensen Alpha for Harel Insurance Investments is roughly  44.40 
Jensen alpha is the difference between the return of the portfolio, and what the portfolio should theoretically have earned. Any portfolio can be expected to earn the risk-free rate (RF), plus the market risk premium (which is given by [Beta x (Market Portfolio Return - Risk-Free Rate)]. Anything remaining over and above is alpha.
Compare Harel Insurance to Peers

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